Frequently Asked Questions in Quantitative Finance

by Paul Wilmott

Paul Wilmott writes, "Quantitative finance is the most fascinating and rewarding real-world application of mathematics. It is fascinating because of the speed at which the subject develops, the new products and the new models which we have to understand. And it is rewarding because anyone can make a fundamental breakthrough. "Having worked in this field for many years, I have come to appreciate the importance of getting the right balance between mathematics and intuition. Too little maths and you won't be able to make much progress, too much maths and you'll be held back by technicalities. I imagine, but expect I will never know for certain, that getting the right level of maths is like having the right equipment to climb Mount Everest; too little and you won't make the first base camp, too much and you'll collapse in a heap before the top. "Whenever I write about or teach this subject I also aim to get the right mix of theory and practice. Finance is not a hard science like physics, so you have to accept the limitations of the models. But nor is it a very soft science, so without those models you would be at a disadvantage compared with those better equipped. I believe this adds to the fascination of the subject. "This FAQs book looks at some of the most important aspects of financial engineering, and considers them from both theoretical and practical points of view. I hope that you will see that finance is just as much fun in practice as in theory, and if you are reading this book to help you with your job interviews, good luck! Let me know how you get on!"

Genres: Finance, Economics, Business, Nonfiction

428 pages, Paperback

First published January 1, 2007

About the author

Paul Wilmott is a researcher, consultant and lecturer in quantitative finance. He is best known as the author of various academic and practitioner texts on risk and derivatives, and for Wilmott magazine and Wilmott.com , a quantitative finance portal.
He is the co-owner and Course Director for the Certificate in Quantitative Finance (CQF), a half year distance learning course on mathematical finance at 7City Learning, a London-based company providing training for the financial services industry. He is a founding partner of Caissa Capital, a volatility arbitrage hedge fund. He is on the editorial board of the academic journal International Journal of Theoretical and Applied Finance. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is a director of Wilmott Electronic Media, which manages Wilmott.com, a website for the quantitative analyst community, and is a director of Paul & Dominic Quant Recruitment.
He studied mathematics at St Catherine’s College, Oxford University, where he received his D.Phil in Applied mathematics in 1985.

Reviews

[Sergey Kochergan · Rating 5 out of 5]

Must read by every wanna be quant or those who are interested in QF.

[David · Rating 3 out of 5]

A surprisingly useful reference to quickly review the main concepts underlying quantitative finance. But it wouldn't be a good introduction for someone just starting the subject. I actually read a more recent edition of this, but I don't see it on this site.

[Jonathan Garvey · Rating 5 out of 5]

Oh boy! This one took a while to ‘read’ (for want of a better word). I think the word is ‘studied’ - as the book itself is exploding with information.

FAQ’s in Quant Finance is a common sense guide to quant finance. If the title reflected the content, it would read ‘frequently asked questions, frequent mistakes, most common distributions, models & equations, common quant brain teasers, interview guidance.’

The tone of the content is sometimes humorous, but only to highlight the often absurd nature of the industry.

From a mathematical standpoint, there’s more than enough material for any beginner to wrap their head around, and then some. It’s worth mentioning that the drawbacks and limitations of certain approaches are highlighted, which is a key takeaway for anyone embarking on a quant finance journey so as to avoid costly errors and avoid the hammer and nail mentality.

This book can be read cover to cover, and that’s what I did. I also intend to use it as a reference, and possibly re-read it when my own understanding of quant finance matures over time.

Highly recommended!

[Tytka na książki · Rating 3 out of 5]

Jest to książka dla osób, które mają pojęcie o finansach ilościowych i chciałby poszerzyć swoją wiedzę.

Książka podzielona jest na rozdziały, które zostały napisane z różną dokładnością. Czasami autor skupia się na tym, by wyjaśnić coś bardzo dokładnie, a czasami zakłada, że wszystko jest dla czytelnika oczywiste, a sam rozpoczyna swoje dywagacje na temat natury finansów i świata.

Szczególnie podobały mi się rozdziały końcowe, związane z pytaniami rekrutacyjnymi. Niestety, zagadki matematyczne były dość skomplikowane. Czas, by sięgnąć po jakąś książkę dedykowaną tylko zagadkom matematycznym.

[Harry Lijia Qin · Rating 4 out of 5]

A lot of great insights

[Jarred Finney · Rating 4 out of 5]

Read this to help dive into the subject matter from Willmott's Money Formula book. Great examples.

[Paul Erickson · Rating 5 out of 5]

An indispensable reference for quants—especially if you're starting out.